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XTCSI: Stata module to investigate Residual Cross-Section Independence

Máximo Sangiácomo

Statistical Software Components from Boston College Department of Economics

Abstract: xtcsi implements, in balanced panel time-series data, error tests for cross-section independence: i) the Breusch and Pagan (1980) LM test; ii) the Pesaran, Ullah and Yamagata (2008) bias-adjusted LM test; and iii) the Pesaran (2004) CD test.

Language: Stata
Requires: Stata version 9
Keywords: panel; cross-section independence; Breusch; Pagan; Pesaran (search for similar items in EconPapers)
Date: 2014-05-30, Revised 2018-10-07
Note: This module should be installed from within Stata by typing "ssc install xtcsi". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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